开拓者期货期权程序化系统交易论坛

标题: 逆势加仓策略（附源码） [打印本页]

作者: sdfg123 时间: 2017-2-17 10:26:18 标题: 逆势加仓策略（附源码）

回测标的：沪深300
回测区间：2012年1月1日至2016年11月11日
选股：选出当前处于100日低点的股票
进场：将资金等分为5份，将1份资金的1/7买入股票，当该股票下降10%时，追加买入1份资金的2/7。当股票再下降10%，追加买入1份资金的4/7。
出场: 止损出场：第三次加仓后再下降10%
      止盈出场：无论第几次加仓，只要上涨10%，平仓止盈。

回测曲线：

[attach]35162[/attach]

策略代码：

function  nsjctest(tc,  lags)%
targetList  =  traderGetTargetList();
%获取目标资产信息
HandleList  =  traderGetHandleList();
%获取账户信息
%策略中每次取数据的长度
barnum=traderGetCurrentBar(targetList(1).Market,targetList(1).Code);
if(barnum<lags)
      return;
end
global  pricerecord
global  buytime;
%  [~,open2,~,~,close2,~,~,openinterest2]  =  traderGetKData(targetList(301).Market,targetList(301).Code,'day',1,  0-21,  0,true,'FWard');
%  if(length(open2)  <  21)
%       return;
%  end
%数据长度限制
%  len1  =  5;
%  len2  =  20;
len  =  60;
for  i  =  1:50
[time,open,high,low,close,volume,~,openinterest]  =  traderGetKData(targetList(i).Market,targetList(i).Code,'day',1,  0-lags-3,  0,false,'FWard');
[ValidCash,~,~,~,~]  =  traderGetAccountInfo(HandleList(1));
valid  =  tc  -  sum(buytime  ==  1)  *  3  /  7  /  5  *  tc  -  sum(buytime  ==  2)  *  4  /  7  /  5  *  tc  -  sum(buytime  ==  3)  /  5  *  tc;
con3  =  ValidCash  >=  valid;
if(length(close)>lags)
      %con1  =  mean(close(end-len+1:end))  >  mean(close(end-len:end-1));
      %[adx]=traderADX(14,14,targetList(i).Market,targetList(i).Code,  'day',  1,  -50,  0,false,  'FWard');
      %con1  =  adx(end)  <  20  &&  adx(end)  >  -20;
      con1  =  1;
if  buytime(i)  ==  0
      con0  =  close(end)  <  min(low(1:end-1))  *  1.1  &&  close(end)  >  min(low(1:end-1))  *  1;
      if  con0  &&  con1  &&  con3
            shareNum  =  floor(tc  /  5  /  close(end)  /  7  *  1  /  100)  *  100;
            if  shareNum  >=  100
            orderID=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');
            pricerecord(i)  =  close(end);
            buytime(i)  =  buytime(i)  + 1;
            end
      end
end
if  buytime(i)  ==  1  &&  close(end)  <  pricerecord(i)  *  0.9  &&  con1  &&  con3
      shareNum  =  floor(tc  /  5  /  close(end)  /  7  *  2  /  100)  *  100;
      if  shareNum  >=  200
      orderID=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');
      pricerecord(i)  =  close(end);
      buytime(i)  =  buytime(i)  + 1;
      end
end

if  buytime(i)  ==  2  &&  close(end)  <  pricerecord(i)  *  0.9  &&  con1  &&  con3
      shareNum  =  floor(tc  /  5  /  close(end)  /  7  *  4  /  100)  *  100  ;
      if  shareNum  >=  400
      orderID=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');
      pricerecord(i)  =  close(end);
      buytime(i)  =  buytime(i)  + 1;
      end
end
if  close(end)  >  pricerecord(i)  *  1.1
      traderSell  (HandleList(1),  targetList(i).Market,targetList(i).Code,  'all',0,'market','sell');
      pricerecord(i)  =  0;
      buytime(i)  =  0;
end
if  (buytime(i)  ==  3  &&  close(end)  <  pricerecord(i)  *  0.9)  %||  (~con1  &&  close(end)  <  pricerecord(i)  *  0.95)
      traderSell  (HandleList(1),  targetList(i).Market,targetList(i).Code,  'all',0,'market','sell');
      pricerecord(i)  =  0;
      buytime(i)  =  0;
end
end
end
end

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